ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS

DOI10.1017/S0266466600162036zbMath0957.62010OpenAlexW1965717667MaRDI QIDQ4512679

Seiji Nabeya

Publication date: 29 March 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466600162036

zbMATH Keywords

ordinary least squares estimatorlinear trendinterceptseasonal autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (3)

ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ COMPUTING LIMITING LOCAL POWERS AND POWER ENVELOPES OF PANEL MA UNIT ROOT TESTS AND STATIONARITY TESTS

This page was built for publication: ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS